Can 64-bit python create 32-bit Windows executables
You can install both 32 and 64 bit Python on the machine and use the py2exe associated with each installation.
However, unless you actually need the extra address space of 64 bit, then you may as well just stick to 32 bit Python for compatibility. You may well find that 3rd party modules will have better availability if you are using 32 bit.
Update: Three years have passed since I wrote this. Would I stick to the advice about 64 bit Python? Probably. It is certainly true that 64 bit third party modules are easier to come by. Not least thanks to Christoph Gohlke's wonderful site.
But it is still the case the every now and again you'll find it hard to get a 64 bit version of an extension that you need. So, if your program works perfectly well in a 32 bit process, then it is perfectly sound to stick to 32 bit.